Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0098 |
| Annualized Std Dev | 0.0585 |
| Annualized Sharpe (Rf=0%) | 0.1674 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3405.0000 |
| NAs | 1.0000 |
| Minimum | -0.0615 |
| Quartile 1 | -0.0011 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0013 |
| Maximum | 0.0438 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0037 |
| Skewness | -1.6766 |
| Kurtosis | 49.8276 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0028 |
| Gain Deviation | 0.0027 |
| Loss Deviation | 0.0035 |
| Downside Deviation (MAR=210%) | 0.0090 |
| Downside Deviation (Rf=0%) | 0.0028 |
| Downside Deviation (0%) | 0.0028 |
| Maximum Drawdown | 0.1411 |
| Historical VaR (95%) | -0.0043 |
| Historical ES (95%) | -0.0090 |
| Modified VaR (95%) | -0.0039 |
| Modified ES (95%) | -0.0039 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-01-18 | 2008-10-15 | 2009-09-03 | -0.1411 | 411 | 188 | 223 |
| 2020-03-10 | 2020-03-19 | 2021-01-27 | -0.1368 | 224 | 8 | 216 |
| 2012-12-03 | 2013-09-05 | 2016-06-27 | -0.1143 | 898 | 191 | 707 |
| 2010-08-26 | 2011-01-14 | 2011-09-23 | -0.1021 | 273 | 99 | 174 |
| 2016-07-08 | 2018-11-06 | 2019-08-15 | -0.0761 | 782 | 589 | 193 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 | -0.3 | 0 | 0.7 | 0.2 |
| 2008 | 0.4 | -0.7 | -1 | -0.1 | 0.1 | -0.2 | -0.1 | 0.2 | -0.2 | 0.6 | -0.6 | 0.6 | -1.1 |
| 2009 | 0.5 | -0.2 | 0 | 0.1 | -0.7 | 0.2 | 0.1 | -0.2 | -0.9 | -0.1 | -0.2 | 0.1 | -1.2 |
| 2010 | -0.2 | -0.4 | -0.2 | 0.1 | -0.4 | -0.2 | -0.1 | -0.4 | -0.4 | -0.3 | -0.8 | 0.1 | -3.2 |
| 2011 | 0.2 | -0.5 | 0.2 | 0.2 | -0.4 | -0.6 | -0.3 | -0.7 | 0 | 0.3 | -0.3 | -0.9 | -2.7 |
| 2012 | 0.5 | -0.4 | -0.1 | -0.3 | -0.1 | -0.1 | -0.5 | 0 | -0.3 | -0.2 | 0.2 | 0.2 | -0.9 |
| 2013 | 0.1 | 0 | 0 | -0.1 | -0.9 | 0.6 | -0.4 | 0 | -0.4 | -0.6 | 0 | -0.1 | -1.9 |
| 2014 | 0.1 | 0.2 | -0.4 | -0.1 | -0.1 | -0.2 | 0.1 | 0.1 | 0.1 | -0.1 | -0.3 | 0.2 | -0.4 |
| 2015 | 0.2 | 0.3 | -0.2 | -0.4 | -0.3 | -0.2 | 0.2 | 0.1 | -0.2 | 0.2 | -0.1 | 0.2 | -0.3 |
| 2016 | -0.4 | -0.4 | -0.2 | 0 | -0.2 | -0.1 | -0.4 | -0.2 | -0.1 | -0.3 | -0.2 | -0.1 | -2.5 |
| 2017 | -0.3 | -0.5 | 0 | -0.4 | -0.3 | -0.1 | -0.1 | -0.3 | 0 | -0.2 | 0.1 | 0.1 | -2 |
| 2018 | -0.6 | 0.1 | 0 | -0.2 | -0.4 | 0 | -0.4 | 0 | -0.3 | -0.3 | 0.2 | 0.1 | -1.6 |
| 2019 | -0.3 | -0.2 | -0.4 | -0.1 | 0.2 | -0.3 | 0.1 | 0 | -0.1 | -0.2 | 0 | -0.1 | -1.6 |
| 2020 | 0.1 | -0.2 | -2.6 | 0.3 | -0.2 | -0.1 | 0.1 | -0.1 | -0.2 | 0 | -0.2 | 0.1 | -3.1 |
| 2021 | -0.1 | -0.2 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-09-10 101. SPY 146. -0.0019 -0.0122 0.0028 -0.0364 0.122 0.295 0.620 GLD 69.6 0.0033 0.0466
2 2007-09-11 101. SPY 147. 0.0117 -0.0107 0.0192 -0.0144 0.132 0.311 0.627 GLD 70.5 0.0129 0.0457
3 2007-09-12 101. SPY 148. 0.0026 0.0005 0.0182 -0.0265 0.134 0.308 0.612 GLD 70.5 -0.0009 0.0429
4 2007-09-13 101. SPY 149. 0.007 0.0053 0.0413 -0.0258 0.131 0.313 0.634 GLD 70.1 -0.0054 0.0177
5 2007-09-14 101. SPY 149. -0.0001 0.0194 0.0557 -0.0272 0.126 0.31 0.665 GLD 70.0 -0.0013 0.0086
6 2007-09-17 101. SPY 148. -0.0054 0.0158 0.0422 -0.0313 0.12 0.313 0.652 GLD 71.0 0.014 0.0194
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
